An Empirical Study about Variance Ratio in Different Pattern of Intraday Trading Volume and Volatility

초록

Recent work offers mixed results regarding the nature of serial correlation in futures markets (Bianco & Reno, 2006; Seo & Park, 2008). This study analyzes variance ratio of KOSPI200, mini NASDAQ100, and DAX index futures to compare the nature of changes in serial correlation patterns over time. Whole sample is from January 2, 2004 to March 10, 2010. According to our research different VR autocorrelation is caused by different intraday volatilities among KOSPI200,NASDAQ100, and DAX. It can be concluded that serial correlation is closely related to pattern of intraday volatility and trading volume, such as ‘U-shape’ and ‘reversed U-shape’.

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